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SPYX vs. EFAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPYX and EFAX is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.7

Performance

SPYX vs. EFAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
220.94%
62.65%
SPYX
EFAX

Key characteristics

Sharpe Ratio

SPYX:

2.25

EFAX:

0.52

Sortino Ratio

SPYX:

3.01

EFAX:

0.79

Omega Ratio

SPYX:

1.42

EFAX:

1.10

Calmar Ratio

SPYX:

3.38

EFAX:

0.70

Martin Ratio

SPYX:

14.88

EFAX:

1.93

Ulcer Index

SPYX:

1.92%

EFAX:

3.47%

Daily Std Dev

SPYX:

12.67%

EFAX:

12.97%

Max Drawdown

SPYX:

-32.84%

EFAX:

-32.53%

Current Drawdown

SPYX:

-2.30%

EFAX:

-9.57%

Returns By Period

In the year-to-date period, SPYX achieves a 26.72% return, which is significantly higher than EFAX's 4.16% return.


SPYX

YTD

26.72%

1M

0.27%

6M

9.71%

1Y

26.95%

5Y*

14.67%

10Y*

N/A

EFAX

YTD

4.16%

1M

-0.97%

6M

-1.60%

1Y

5.07%

5Y*

4.50%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SPYX vs. EFAX - Expense Ratio Comparison

Both SPYX and EFAX have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
Expense ratio chart for SPYX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for EFAX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

SPYX vs. EFAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for SPYX, currently valued at 2.25, compared to the broader market0.002.004.002.250.52
The chart of Sortino ratio for SPYX, currently valued at 3.01, compared to the broader market-2.000.002.004.006.008.0010.003.010.79
The chart of Omega ratio for SPYX, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.421.10
The chart of Calmar ratio for SPYX, currently valued at 3.38, compared to the broader market0.005.0010.0015.003.380.70
The chart of Martin ratio for SPYX, currently valued at 14.88, compared to the broader market0.0020.0040.0060.0080.00100.0014.881.93
SPYX
EFAX

The current SPYX Sharpe Ratio is 2.25, which is higher than the EFAX Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of SPYX and EFAX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.25
0.52
SPYX
EFAX

Dividends

SPYX vs. EFAX - Dividend Comparison

SPYX's dividend yield for the trailing twelve months is around 0.76%, less than EFAX's 2.76% yield.


TTM202320222021202020192018201720162015
SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
0.76%1.21%1.41%1.04%1.33%1.56%1.92%1.68%1.91%0.49%
EFAX
SPDR MSCI EAFE Fossil Fuel Free ETF
2.76%2.71%2.81%2.58%1.69%2.71%3.05%2.89%0.26%0.00%

Drawdowns

SPYX vs. EFAX - Drawdown Comparison

The maximum SPYX drawdown since its inception was -32.84%, roughly equal to the maximum EFAX drawdown of -32.53%. Use the drawdown chart below to compare losses from any high point for SPYX and EFAX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.30%
-9.57%
SPYX
EFAX

Volatility

SPYX vs. EFAX - Volatility Comparison

SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) has a higher volatility of 3.78% compared to SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) at 3.60%. This indicates that SPYX's price experiences larger fluctuations and is considered to be riskier than EFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.78%
3.60%
SPYX
EFAX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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